“We’ve always been quite close – even though I’ve lived abroad – but when you have kids, it’s an extra connection,” Madeleine previously told PEOPLE of the bond she shares with her siblings.

“And the little cousins, Leonore and Estelle (Victoria’s 4-year-old daughter), they’re very close – they’re more like sisters,” she adds. “Victoria and I try very hard to make it so they really can see each other and play and have fun.

“Cousins are great – they are your friends, but they’re family. They can support each other.”